Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0773
Annualized Std Dev 0.2852
Annualized Sharpe (Rf=0%) 0.2710

Row

Daily Return Statistics

Close
Observations 3873.0000
NAs 1.0000
Minimum -0.1782
Quartile 1 -0.0079
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0090
Maximum 0.1536
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0180
Skewness -0.3387
Kurtosis 9.9019

Downside Risk

Close
Semi Deviation 0.0130
Gain Deviation 0.0126
Loss Deviation 0.0140
Downside Deviation (MAR=210%) 0.0173
Downside Deviation (Rf=0%) 0.0128
Downside Deviation (0%) 0.0128
Maximum Drawdown 0.6525
Historical VaR (95%) -0.0272
Historical ES (95%) -0.0430
Modified VaR (95%) -0.0272
Modified ES (95%) -0.0492
From Trough To Depth Length To Trough Recovery
2007-07-20 2009-03-09 2013-12-18 -0.6525 1616 412 1204
2020-02-21 2020-03-23 2020-10-02 -0.5234 157 22 135
2018-01-24 2018-12-24 2020-01-23 -0.3803 503 232 271
2006-04-20 2006-07-18 2007-04-20 -0.2688 252 62 190
2015-12-02 2016-02-11 2016-04-13 -0.2153 91 49 42

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA -0.6 1.8 -1 0.2
2006 -0.6 0.8 -0.4 0.6 1.1 -0.3 -0.6 0.9 -1.5 -1 -1 -0.8 -2.7
2007 2.2 0.2 0 -0.1 1 -0.1 0.7 1.6 3.4 -3.4 0.6 -0.7 5.3
2008 2.6 -2.3 3.6 2.1 -0.1 -0.8 -0.5 -1.4 -3.2 3.2 -10.9 2.9 -5.5
2009 -4.7 -0.4 1.7 -1.4 3.6 0.6 1.1 -2.9 -2.8 -2.5 1.3 -0.7 -7.1
2010 0.5 2.3 0.9 -1.9 -3.9 -1 0.4 3.8 0.3 -0.5 2.7 0.1 3.5
2011 2.1 -2.1 1.3 0.4 -3.5 1.7 -0.5 -3 -0.9 -4.3 1 -0.4 -8.2
2012 2.3 0.6 -0.4 -0.5 -2.8 4.4 -1.8 1.2 0 1.8 0.1 2.5 7.5
2013 0.1 0.2 -1.9 -2.4 -1 1.1 1.9 -1.4 1.6 0 0.3 0.4 -1.2
2014 0.2 -0.4 0.6 0 -0.4 1.3 0.2 0 -1.7 1.2 -2.4 0 -1.6
2015 -1.1 -0.5 -0.6 0.7 0.4 0.7 0.7 -2.2 1.3 1.3 1 -0.8 0.8
2016 -0.7 2.2 0.7 -1.1 0.3 0.4 -0.7 -0.2 0.6 -1 0.2 -1.1 -0.4
2017 -0.2 2.4 0.6 0.6 1.7 1.1 0.2 0.7 0.4 -0.1 -0.9 -0.6 6.1
2018 0.1 -0.9 1.5 0.7 0.4 0.7 -1.3 0.1 -0.6 3.7 0.5 0.8 5.7
2019 0.5 0.5 1.4 -1 -1.4 0.4 -0.9 0.6 -1.5 2.7 -0.7 -0.1 0.5
2020 -2.1 -2.8 -8 -2.9 1 -1.9 -0.8 3 1.1 -1 -0.2 -0.5 -14.5
2021 2.2 2.8 0.5 NA NA NA NA NA NA NA NA NA 5.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart